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Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Yue Peng; Wing Lon Ng - In: Annals of finance 8 (2012) 1, pp. 49-74

Persistent link: https://www.econbiz.de/10009510581

Periodicities of foreign exchange markets and the directional change power law

Giampaoli, Iacopo; Wing Lon Ng; Constantinou, Nick - In: Intelligent systems in accounting finance and … 20 (2013) 3, pp. 189-206

Persistent link: https://www.econbiz.de/10010196979

Intraday liquidity patterns in limit order books

Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71

Persistent link: https://www.econbiz.de/10010258798

Minimizing Basel III capital requirements with unconditional coverage constraint

Kleinknecht, Manuel; Wing Lon Ng - In: Intelligent systems in accounting finance and … 22 (2015) 4, pp. 263-281

Persistent link: https://www.econbiz.de/10011536590

Recovering default risk from CDS spreads with a nonlinear filter

Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: Journal of economic dynamics & control 38 (2014), pp. 87-104

Persistent link: https://www.econbiz.de/10010387855

Enhancing credit default swap valuation with meshfree methods

Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: European journal of operational research : EJOR 214 (2011) 3, pp. 805-813

Persistent link: https://www.econbiz.de/10009316165

The signalling properties of the shape of the credit default swap term structure

Castellanos, Jenny; Constantinou, Nick; Wing Lon Ng - In: Journal of risk 17 (2014/2015) 4, pp. 71-99

Persistent link: https://www.econbiz.de/10013262935

Ökonometrische Modellierung von Durationsprozessen ultra-hoch frequenter Orderbuchdaten

Ng, Wing Lon - 2005

Persistent link: https://www.econbiz.de/10003294866

Overreaction and multiple tail dependence at the high-frequency level : the copula rose

Ng, Wing Lon (contributor) - 2006

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...

Persistent link: https://www.econbiz.de/10003402780

The SCoD model : analyzing durations with a semiparametric copula approach

Savu, Cornelia; Ng, Wing Lon - In: International review of finance 5 (2005) 1/2, pp. 55-74

Persistent link: https://www.econbiz.de/10003351733